Michael Soucek : Citation Profile


Are you Michael Soucek?

Europa-Universität Viadrina Frankfurt (Oder)

4

H index

1

i10 index

50

Citations

RESEARCH PRODUCTION:

7

Articles

2

Papers

RESEARCH ACTIVITY:

   2 years (2013 - 2015). See details.
   Cites by year: 25
   Journals where Michael Soucek has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 3 (5.66 %)

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   Permalink: http://citec.repec.org/pso404
   Updated: 2017-10-14    RAS profile: 2014-08-15    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Soucek.

Is cited by:

Manera, Matteo (4)

Degiannakis, Stavros (4)

Filis, George (4)

Guardabascio, Barbara (2)

Cubadda, Gianluca (2)

Sharma, Susan (2)

Misund, BÃ¥rd (2)

Hecq, Alain (2)

DE TRUCHIS, Gilles (2)

Xia, Xiao-Hua (2)

Nicolini, Marcella (2)

Cites to:

Bollerslev, Tim (17)

Andersen, Torben (16)

Hammoudeh, Shawkat (15)

McAleer, Michael (14)

Corsi, Fulvio (14)

Diebold, Francis (12)

Lunde, Asger (8)

Hansen, Peter (8)

Bubak, Vit (7)

Barndorff-Nielsen, Ole (6)

Tansuchat, Roengchai (6)

Main data


Where Michael Soucek has published?


Journals with more than one article published# docs
Energy Economics2

Recent works citing Michael Soucek (2017 and 2016)


YearTitle of citing document
2016Understanding Dynamic Conditional Correlations between Commodities Futures Markets. (2016). Nicolini, Marcella ; Manera, Matteo ; Behmiri, Niaz Bashiri . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:232223.

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2016Alternative Approaches for Rating INDCs: a Comparative Analysis. (2016). Davide, Marinella ; Vesco, Paola . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232716.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2016Chinas oil product pricing mechanism: What role does it play in Chinas macroeconomy?. (2016). Zhang, Jin ; Xie, Mingjia . In: China Economic Review. RePEc:eee:chieco:v:38:y:2016:i:c:p:209-221.

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2016On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet ; Roubaud, David . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andres ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2016Biofuel-related price transmission using Renewable Identification Number prices to signal mandate regime. (2016). Ripplinger, David ; Thompson, Wyatt ; Whistance, Jarrett . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:19-29.

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2016Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294.

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2016Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach. (2016). Misund, BÃ¥rd ; Oglend, Atle . In: Energy. RePEc:eee:energy:v:111:y:2016:i:c:p:178-189.

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2016Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2016Steel scrap and equity market in Japan. (2016). Omura, Akihiro ; Chung, Richard ; Li, Bin ; Todorova, Neda . In: Resources Policy. RePEc:eee:jrpoli:v:47:y:2016:i:c:p:115-124.

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2016Time–frequency featured co-movement between the stock and prices of crude oil and gold. (2016). Gao, Xiangyun ; Huang, Xuan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:985-995.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2016Incremental information of stock indicators. (2016). Vortelinos, Dimitrios I. In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97.

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2017Does gold Liquidity learn from the greenback or the equity?. (2017). Smimou, K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:461-479.

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2016Understanding Dynamic Conditional Correlations between Commodities Futures Markets. (2016). Nicolini, Marcella ; Manera, Matteo ; Behmiri, Niaz Bashiri . In: Working Papers. RePEc:fem:femwpa:2016.17.

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2016The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited. (2016). Neely, Christopher ; Lahaye, Jerome . In: Working Papers. RePEc:fip:fedlwp:2014-034.

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2016Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). GOMIDE, FERNANDO ; MacIel, Leandro ; Ballini, Rosangela . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong . In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Forecasting oil prices. (2017). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:77531.

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2016Modelling Extreme Risks in Commodities and Commodity Currencies. (2016). Clements, Adam ; Herrera, Rodrigo ; Fuentes, Fernanda . In: NCER Working Paper Series. RePEc:qut:auncer:2016_06.

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2017Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication. (2017). Czudaj, Robert ; Berger, Theo ; Beckmann, Joscha . In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep012.

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Works by Michael Soucek:


YearTitleTypeCited
2014The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range In: Economic Modelling.
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article6
2014Realized volatility transmission: The role of jumps and leverage effects In: Economics Letters.
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article9
2013Crude oil, equity and gold futures open interest co-movements In: Energy Economics.
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article4
2013Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach In: Energy Economics.
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article15
2014Overnight information flow and realized volatility forecasting In: Finance Research Letters.
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article3
2014Realized volatility spillovers in the non-ferrous metal futures market In: Resources Policy.
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article9
2015Volatility spillovers from international commodity markets to the Australian equity market In: Discussion Papers in Finance.
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paper0
2013Economic significance of oil price changes on Russian and Chinese stock markets In: Applied Financial Economics.
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article4
2014Impact of analyst recommendations on stock returns: Evidence from the German stock market In: Discussion Papers.
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paper0

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